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Banach Center

Banach Center

University of Warsaw and Institute of Mathematics of the Polish Academy of Sciences

The workshop is meant to account for recent advances in research devoted to various aspects of Hawkes processes. Modeling with Hawkes processes has been intensively studied and applied since the advent of the theory of Hawkes process in early 1970-ties, especially in the recent years. Numerous areas of applications of Hawkes processes include seismology, epidemiology, finance, genetics and insurance. The workshop will encompass recent progress in (A): recent theoretical developments, including, in particular, asymptotic analysis of Hawkes processes, graph-based methods for modeling structure of excitations, and study of consistency and dependence in Hawkes structures; (B): applications, including applications in cyber-insurance, epidemiology and finance; (C) computational aspects; as well as (D): statistical methods for estimation of Hawkes kernels.

Email: 23-hawkesmodeling@impan.pl

Banach Center

Particular areas of focus and interest for the meeting include: - Application of generic chaining techniques to study the regularity of stochastic processes and lower and upper bounds on norms of random vectors and matrices - Relation between various isoperimetric and concentration inequalities as well as their applications to convex geometry, statistics and computer science - Applications of modern empirical process and strong approximation methods to problems of machine learning and inference in high- and infinite-dimensional statistical models - Interactions between information-theoretic inequalities, convex geometry and high-dimensional probability - Stein’s method and its use in high-dimensional probability - Nonasymptotic random matrix theory - Interactions between high dimensional probability and statistical physics - Super-concentration phenomena in high dimension: new tools, examples and open problems - Application of Itô calculus to convex geometry - Identification of major problems and areas of potentially high impact for applications and use in other areas of mathematics, statistics, and computer science